phit_merton: The hitting time CDF of a Merton jump-diffusion
In shill1729/findistr: Common distributions used in finance
View source: R/merton-hitting-times.R
phit_merton R Documentation
The hitting time CDF of a Merton jump-diffusion
Description
The CDF of the hitting time of a under Merton's jump-diffusion, i.e.
a geometric Levy process with the log being an Ito diffusion plus a compound Poisson
process of Gaussians.
Usage
phit_merton(t, a, param)
Arguments
t
the current time
a
the boundary to hit above
param
the dynamics of the jump-diffusion, a vector of 5, the drift, volatility
mean-jump rate, mean jump-size, sd of jump size
Value
numeric or vector
shill1729/findistr documentation built on May 20, 2024, 9:43 a.m.
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View source: R/merton-hitting-times.R
| phit_merton | R Documentation |
The hitting time CDF of a Merton jump-diffusion
Description
The CDF of the hitting time of a under Merton's jump-diffusion, i.e.
a geometric Levy process with the log being an Ito diffusion plus a compound Poisson
process of Gaussians.
Usage
phit_merton(t, a, param)
Arguments
t |
the current time |
a |
the boundary to hit above |
param |
the dynamics of the jump-diffusion, a vector of 5, the drift, volatility mean-jump rate, mean jump-size, sd of jump size |
Value
numeric or vector
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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